FN Options History — May 2022

In May 2022, FN traded between $82.48 and $99.16. ATM implied volatility averaged 44.3%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 0.5% (HV 20d: 44.8%). Max pain ranged from $85.00 to $100.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2022-05-31: Highest Volume — 418 contracts
  • 2022-05-03: Largest IV drop — 31.1% change
  • 2022-05-02: Highest IV Rank — 100.0%
  • 2022-05-02: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.81$82.48$99.16$99.16$86.97
Max Pain$87.14$85.00$100.00$100.00$85.00
ATM IV44.3%35.3%61.8%60.2%37.4%
Expected Move12.2%10.1%17.3%17.3%10.7%
HV 20d44.8%35.8%48.9%35.8%46.9%
HV 60d36.8%32.5%38.8%32.5%38.3%
IV Rank58.0%35.2%100.0%100.0%40.3%
IV Percentile79.4%54.0%100.0%100.0%61.1%
Term Structure-1.9%-12.0%5.7%-12.0%5.3%
VWIV46.9%39.7%59.9%59.9%48.4%
Skew 25d6.4%-7.1%19.0%8.2%8.5%
Skew 10d10.8%-4.4%25.3%20.4%-3.7%
Call IV 25d42.5%33.5%57.2%56.1%38.3%
Put IV 25d48.9%37.8%64.3%64.3%46.8%
Bid-Ask Spread %87.2276.5698.2488.6590.60
Gamma HHI0.230.150.320.170.30
Net GEX-6.2K-45.9K22.5K22.4K-31.2K
Net DEX245.7K-462.4K1.0M-462.4K236.5K
Net VEX-2.7K-3.4K-1.9K-2.6K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.422.630.422.63
Total Volume294.524173418173418
Total OI463.476325624325466

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$99.16$100.0060.2%17.3%35.8%100.0%59.9%8.2%-12.0%22.4K-462.4K-2.6K0.4288.651225126758
2022-05-03$93.44$100.0041.5%11.9%40.6%52.2%47.1%17.3%-1.7%15.4K-116.5K-1.9K0.6898.241238428368
2022-05-04$93.94$100.0040.3%11.6%40.2%49.3%41.8%14.7%-3.3%13.2K-138.9K-2.0K0.5296.231728927484
2022-05-05$89.20$85.0047.3%11.7%42.3%67.0%45.1%7.9%-2.3%22.5K-58.1K-2.3K0.4881.951748332191
2022-05-06$88.83$85.0046.9%12.2%42.2%66.2%46.3%6.3%-2.1%19.6K31.8K-2.2K0.5080.091758832298
2022-05-09$85.62$85.0056.2%13.2%42.7%89.6%50.1%5.2%-2.8%9.7K218.7K-2.1K0.6483.30175112324110
2022-05-10$86.70$85.0061.8%14.1%43.1%100.0%45.9%-0.9%-10.4%4.3K295.5K-2.2K0.6983.75175120324146
2022-05-11$88.15$85.0049.4%14.1%43.8%69.6%50.2%8.6%-4.5%5.6K208.2K-2.5K0.8383.20175145326155
2022-05-12$86.83$85.0047.3%13.6%43.4%64.6%50.5%7.4%-5.4%-6.3K451.3K-2.9K0.9276.56178163326211
2022-05-13$91.31$85.0043.3%12.4%47.5%54.8%48.4%6.9%-2.6%1.3K142.5K-3.3K0.9380.96173161330248
2022-05-16$88.13$85.0042.1%12.1%48.9%51.8%47.8%4.8%-3.1%-11.6K418.4K-3.0K0.9380.17173161335252
2022-05-17$89.88$85.0039.2%11.2%47.1%44.7%52.3%6.4%-1.9%-5.8K260.7K-2.7K0.9388.35178165335251
2022-05-18$85.93$85.0035.3%10.1%47.1%35.2%39.7%2.7%5.7%-17.6K492.7K-2.6K1.1589.05178205335251
2022-05-19$83.34$85.0042.4%12.1%47.5%52.5%43.4%-5.4%0.1%-32.7K889.6K-3.2K1.1389.05181205335286
2022-05-20$83.39$85.0041.6%11.9%47.1%50.6%44.8%2.4%-1.5%-45.9K1.0M-3.0K1.1088.11188206338286
2022-05-23$83.80$85.0037.7%10.8%46.7%40.9%45.3%9.4%2.5%-18.7K284.6K-2.9K1.3793.87111152157194
2022-05-24$82.48$85.0044.4%12.7%46.4%57.5%48.4%-7.1%-2.1%-18.2K329.0K-3.3K0.9588.49111105168194
2022-05-25$83.00$85.0042.0%12.0%46.5%51.5%48.0%19.0%-1.9%-22.4K360.8K-3.1K0.7992.2211289169209
2022-05-26$86.16$85.0038.6%11.1%46.8%43.2%41.1%3.2%2.4%-13.8K176.0K-3.1K1.1287.27111124173209
2022-05-27$87.65$85.0035.4%10.2%47.2%35.5%41.3%9.9%1.7%-19.1K104.1K-3.3K1.4791.43111163175249
2022-05-31$86.97$85.0037.4%10.7%46.9%40.3%48.4%8.5%5.3%-31.2K236.5K-3.4K2.6390.60115303175291